Retain 1 breakpoint from loaded file...
means that a breakpoint is set in a buffer while you have loaded that buffer's underlying file from disk, for example by menu commands File > Load or File > Compile And Load . Loading the file re-evaluates all of its forms, but the IDE does not have a way to reset the breakpoints in these forms automatically. Therefore it asks you what to do.
Answer Yes to add breakpoints to the newly loaded definitions. Answer No to remove the breakpoints.
LispWorks IDE User Guide (Windows version) - 25 Nov 2011